RE: st: RE: xtivreg2: confusing analytical samples reported

["Schaffer, Mark E" <M.E.Schaffer@hw.ac.uk>]

So the singletons are probably the answer.  xtivreg2 tells you how many
there were, so that would confirm it.

--Mark

> -----Original Message-----
> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> statalist@hsphsun2.harvard.edu] On Behalf Of Kemeny, Thomas Ernest
> Sent: 19 March 2013 14:05
> To: <statalist@hsphsun2.harvard.edu>
> Subject: Re: st: RE: xtivreg2: confusing analytical samples reported
> 
> Hi Mark,
> 
> Thanks for your help. Some answers:
> 
> Versions: I am running stata 12.1; ivreg2 v3.0.06; xtivreg2 v1.0.12.
> 
> Singletons: yes! It detects singleton groups, resulting in
observations not
> used.
> 
> Coefficients- yes, same coefficients with or without partialling and
clustered
> SEs.
> 
> Thanks!
> Tom
> 
> 
> 
> On Mar 18, 2013, at 4:28 PM, "Schaffer, Mark E"
<M.E.Schaffer@hw.ac.uk>
> wrote:
> 
> > Tom,
> >
> > A few thoughts...
> >
> > 1.  Can you report which versions of Stata, xtivreg2, ivreg2, etc.
you
> > are using?  (As per the Statalist FAQ.)
> >
> > 2.  Is xtivreg2 reporting anything about not using singleton
observations?  It
> is more informative in this respect than the official xtivreg and
xtreg
> commands.
> >
> > 3.  The coefficient estimates you obtain with
> >
> > xtivreg2 y (a = x z) b c d_* e_* f_*, fe ffirst partial(d_* e_* f_*)
> > cluster(g)
> >
> > you can also obtain with official xtivreg:
> >
> > xtivreg2 y (a = x z) b c d_* e_* f_*, fe
> >
> > Are they the same?
> >
> > --Mark
> >
> >> -----Original Message-----
> >> From: owner-statalist@hsphsun2.harvard.edu [mailto:owner-
> >> statalist@hsphsun2.harvard.edu] On Behalf Of Kemeny, Thomas Ernest
> >> Sent: 18 March 2013 16:52
> >> To: statalist@hsphsun2.harvard.edu
> >> Subject: st: xtivreg2: confusing analytical samples reported
> >>
> >> I'm estimating a fixed effects model using annual panel data on
> >> individuals.There is some reason to investigate potential bias due
to
> >> endogeneity of one predictor (let's call it variable a).
> >>
> >> My base model, ignoring endogeneity issues, is as follows:
> >>
> >> .xtreg y a b c i.(d e f), fe vce(cluster g)
> >>
> >> where d, e and f represent time, geography, and industry dummy
> variables.
> >> This model runs on a certain analytical sample. This all seems
fine.
> >> Here is where the trouble starts: starting from the same data, I
then
> >> want to run a  2SLS, using instruments x and z. Before I can do so,
I
> >> have to the generate the dummy variables for d, e and f, since the
> >> i() subcommand will not work with xtivreg2.
> >>
> >> .qui tab d, gen (d_)
> >> .qui tab e, gen (e_)
> >> .qui tab f, gen (f_)
> >>
> >> Then I can run xtivreg2, as follows:
> >>
> >> .xtivreg2 y (a = x z) b c d_* e_* f_*, fe ffirst partial(d_* e_*
f_*)
> >> cluster(g)
> >>
> >> The thing is, xtivreg fe reports a smaller analytical sample than
> >> xtreg fe -- more than a third less! And, even more curiously, if
> >> after running the xtivreg2, I run the following
> >>
> >> .keep if e(sample)
> >>
> >> the kept analytical sample is actually the same as it was in the
> >> original xtreg fe command.
> >>
> >> I am perplexed. Is ixtivreg2 mis-reporting the analytical sample?
Or
> >> is something else going on here?
> >>
> >> Weirder - when I run xtivreg, the native stata panel IV command,
the
> >> analytical sample here is the same as with xtreg fe, in other words
> >> the sample issue disappears  (but i cannot cluster SEs using
xtivreg,
> >> which i can do using xtivreg2).
> >>
> >> Any thoughts?
> >>
> >> Much thanks.
> >> Tom
> >>
> >> --
> >> Thomas Kemeny
> >> Research Assistant Professor
> >> Department of Public Policy
> >> University of North Carolina at Chapel Hill
http://unc.edu/~tkemeny/
> >> *
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> >
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We invite research leaders and ambitious early career researchers to 
join us in leading and driving research in key inter-disciplinary themes. 
Please see www.hw.ac.uk/researchleaders for further information and how
to apply.

Heriot-Watt University is a Scottish charity
registered under charity number SC000278.


*
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